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Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91
Persistent link: https://www.econbiz.de/10011305317
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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973
Persistent link: https://www.econbiz.de/10011860929
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Validation of volatility models
Magdon-Ismail, Malik; Abu-Mostafa, Yaser S. - In: Journal of forecasting 17 (1998) 5/6, pp. 349-368
Persistent link: https://www.econbiz.de/10001363172
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Predicting stock index volatility : can market volume help?
Brooks, Chris - In: Journal of forecasting 17 (1998) 1, pp. 59-80
Persistent link: https://www.econbiz.de/10001245342
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Seasonal heteroscedasticity and trends
Proietti, Tommaso - In: Journal of forecasting 17 (1998) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10001245345
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Forecasting latent volatility through a Markov chain approximation filter
Lo, Chia Chun; Skindilias, Konstantinos; … - In: Journal of forecasting 35 (2016) 1, pp. 54-69
Persistent link: https://www.econbiz.de/10011417712
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Augmented half-life estimation based on high-frequency data
Huang, Mao-Lung; Liao, Shu-Yi; Lin, Kuo-Chin - In: Journal of forecasting 34 (2015) 7, pp. 523-532
Persistent link: https://www.econbiz.de/10011390442
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Modeling realized volatility dynamics with a genetic algorithm
Qu, Hui; Ji, Ping - In: Journal of forecasting 35 (2016) 5, pp. 434-444
Persistent link: https://www.econbiz.de/10011580981
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Bayesian analysis of a threshold stochastic volatility model
Wirjanto, Tony S.; Kolkiewicz, Adam W.; Men, Zhongxian - In: Journal of forecasting 35 (2016) 5, pp. 462-476
Persistent link: https://www.econbiz.de/10011580989
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A neuro-walvet model for the short-term forecasting of high-frequency time series of stock returns
Ortega, Luis F.; Khashanah, Khaldoun - In: Journal of forecasting 33 (2014) 2, pp. 134-146
Persistent link: https://www.econbiz.de/10010424852